Statistical Inference for Stochastic Differential Equations with Small Noises

Liang Shen and Qingsong Xu

Abstract and Applied Analysis, 2014, vol. 2014, 1-6

Abstract:

This paper proposes the least squares method to estimate the drift parameter for the stochastic differential equations driven by small noises, which is more general than pure jump -stable noises. The asymptotic property of this least squares estimator is studied under some regularity conditions. The asymptotic distribution of the estimator is shown to be the convolution of a stable distribution and a normal distribution, which is completely different from the classical cases.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:473681

DOI: 10.1155/2014/473681

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